Unformatted text preview: * A. Price of the call will go down by $0.12 B. Price of the call will remain unchanged C. Price of the call will increase by $0.12 D. Price of the call will increase by $0.41 E. None of the above BlackScholes Option Pricing Stock Price $65.00 $65.00 Exercise Price $65.00 $65.00 Standard Deviation 0.2300 0.1800 Years to Maturity 1.0000 1.0000 Square Root of Years 1.0000 1.0000 Annual Interest Rate 5.00% 8.00% Periodic Interest Rate 5.00% 8.00% PV (Exercise) $61.83 $60.00 d1 0.3324 0.5344 N(d1) 0.6293 0.7019 d2 0.1024 0.3544 N(d2) 0.5398 0.6368 Call Price $7.53 $7.41 3. A stock is currently selling for $50. The stock price could go up by 12% (u = 1.12) or fall by 6% (d = 0.94) each month. The monthly interest rate is 1% (periodic rate)....
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This note was uploaded on 07/13/2011 for the course FIN 4414 taught by Professor Staff during the Spring '08 term at University of Florida.
 Spring '08
 Staff
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